Buybacks: Why They Don’t Matter, Why They Do, and Why You Should Care Yet Still Relax.
U.S. Companies bought back $217 Billion of their $1.3bn in overseas cash in the first quarter helping fuel a record $189 billion in stock buybacks. [...]
Fintwit Might Matter for Momentum and Mean Reversion in Stock Prices
Momentum, Mean-Reversion, and Social Media: Evidence from StockTwits and Twitter Shreyash Agrawal, Pablo D. Azar, Andrew W. Lo and Taranjit Singh Journal of Portfolio Management [...]
Podcast: Quantitative Value Investing on the Stansberry Investor Hour (Wes)
You can listen to the podcast via the link below: Here is a link to our podcast on the Stansberry Investor Hour. Show Summary It’s [...]
March for the Fallen 2018: Detailed Logistics Outline and What to Expect
We are 5 weeks away and the March for the Fallen living memorial is about to begin. Here are the links to prior updates if you'd like to [...]
Academic Factor Portfolios are Extremely Painful. Unless you are an Alien.
Imagine you are an alien. You land on planet earth in 1927 and are given a mission. You are told that you need to solve a [...]
Looking at Alternatives? Avoid Complexity and Magical Backtests
Quantifying Backtest Overfitting in Alternative Beta Strategies Antti Suhonen, Matthias Lennkh, and Fabrice Perez Journal of Portfolio Management, Winter 2017 A version of this paper [...]
Accruals Momentum as an Investment Strategy
Accruals are a part of any company's financial reporting. For those unfamiliar with accrual accounting, a simple explanation is that accruals are adjustments made for [...]
The Best Research Paper Ever Written on Trading Costs
Trading costs are a hot topic these days. The topic has sparked investor attention because of the rise of systematic factor investing strategies available via [...]
Macro Conditions May Enhance Short-term Predictability of the Shiller P/E
King of the Mountain: The Shiller P/E and Macroeconomic Conditions Robert D. Arnott, Denis B. Chaves, and Tzee-man Chow Journal of Portfolio Management A version [...]
The Carry Factor and Global Risks
The carry factor is the tendency for higher-yielding assets to provide higher returns than lower-yielding assets — it is a cousin to the value factor, [...]
An Academic Article that Claims Human-Based Advisory Services Face Serious Challenges
Robo-Advisors and Wealth Management Kokfai Phoon and Francis Koh The Journal of Alternative Investments, Winter 2018 A version of this paper can be found here Want to read [...]
A Q&A Discussion with Vanguard Researchers on the “Fair Value CAPE Ratio”
As everyone who's been invested for the last ten years knows, post-financial crisis stock returns have been incredible. The chart below highlights the total returns [...]
Finance Journals Rarely Publish Articles with low T-stats
Documentation of the File Drawer Problem in Academic Finance Journals Matthew R. Morey and Sonu Yadav Journal of Investment Management A version of this paper [...]
Podcast: Factor Investing with Vanguard Factor Fund PM Liqian Ren (Wes & Jack)
Here is a link to our podcast on Behind the Markets In this episode of Behind the Markets host Wes Gray talks factor investing as [...]
March for the Fallen 8-Week Training Program for Busy Professionals
The March for the Fallen event is quickly approaching (sign up if you haven't and Please notify us if you are attending.). I've locked in space [...]
Factor Investing Insights You Won’t Hear from Fama and French
Factor investing research has a long storied past. Fama and French's 1992 and 1993 papers arguably put factor investing "on the map," but truth be [...]
Investment Performance of Female CEOs
Performance of Female CEOs Srinidhi Kanuri, James Malm Journal of Investing, Spring 2018 A version of this paper can be found here Want to read our [...]
Which Investment Factors Drive Corporate Bond Returns
Which Investment Factors Drive Corporate Bond Returns Turan G. Bali, Avanidhar Subrahmanyam, & Quan Wen A version of this paper can be found here. Want to [...]
Portfolio Craftsmanship is Just as Important as Choosing an Investment Style.
Craftsmanship Alpha: An Application to Style Investing Ronen Israel, Sarah Jiang, and Adrienne Ross Journal of Portfolio Management A version of this paper can be [...]
Deconstructing the Low Volatility/Low Beta Anomaly
One of the big problems for the first formal asset pricing model developed by financial economists, the Capital Asset Pricing Model (CAPM), was that it [...]